| Semester | spring semester 2020 |
| Course frequency | Every spring sem. |
| Lecturers | |
| Content | Firm exposure to business and market is a direct result of previous capital financial investments. This course is an introduction to quantitative risk management in corporate finance. The course introduces methods from mathematical finance, probability and statistics that can be used to model corporate financial risks. Topics addressed include loss distributions, risk measures, extreme value theory, copulas and dependence structures, portfolio allocation and diversification. Content: 1. Basic concepts in risk management 2. Empirical properties of financial data 3. Financial time series 4. Extreme value theory 5. Copulas and dependence 6. Market risk 7. Theory of risk measures 8. Operational risk 8. Credit risk 10. Aggregate risk and diversification |
| Learning objectives | The goal of this course is to learn the most important quantitative methods from mathematical finance, probability and statistics used in financial risk modeling. |
| Bibliography | -- Lecture slides -- Alexander McNeil, Rüdiger Frey, and Paul Embrechts. "Quantitative Risk Management: Concepts, Techniques and Tools". Princeton University Press, 2015. |
| Weblink | Weblink to ADAM |
| Admission requirements | No strict prerequisites are required. However, a basic knowledge of quantitative tools and statistics and a certain level of mathematical sophistication will be needed. |
| Course application | Course registration: please enrol in MOnA; Registration = Enrolment to the exam. A deregistration is possible by email to Studiendekanat-wwz@unibas.ch until 3 May 2020, 8 pm. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Specialization Module: Monetary Economics and Financial Markets (Master's Studies: Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | A written exam accounting for 100% of the grade is scheduled for the last week of lectures. |
| Assessment registration/deregistration | Reg.: course registr.; dereg.: Office of the Dean of Studies |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |